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In this paper we offer a novel type of network model which can capture the precise structure of a financial market based, for example, on empirical findings. With the attached stochastic framework it is further possible to study how an…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
We test whether simple, interpretable state variables-trend and momentum-can generate durable out-of-sample alpha in one of the world's most liquid assets, gold. Using a rolling 10-year training and 6-month testing walk-forward from 2015 to…
We give a complete algorithm and source code for constructing what we refer to as heterotic risk models (for equities), which combine: i) granularity of an industry classification; ii) diagonality of the principal component factor…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
Consider the online testing of a stream of hypotheses where a real--time decision must be made before the next data point arrives. The error rate is required to be controlled at {all} decision points. Conventional \emph{simultaneous testing…
The purpose is to compare the perfect Stochastic Return (SR) model like Islamic banks to the Fixed Return (FR) model as in conventional banks by measuring up their impacts at the macroeconomic level. We prove that if the optimal choice of…
Stability region is a key index to characterize a dynamic processing system's ability to handle incoming demands. It is a multidimensional space when the system has multiple OD pairs where their service rates interact. Urban traffic network…
Time Series Foundation Models (TSFMs) have emerged as a promising approach for zero-shot financial forecasting, demonstrating strong transferability and data efficiency gains. However, their adoption in financial applications is hindered by…
The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of…
High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We…
Forward regression is a statistical model selection and estimation procedure which inductively selects covariates that add predictive power into a working statistical regression model. Once a model is selected, unknown regression parameters…
This study investigates the short-term asymptotic behavior of the implied volatility surface (IVS), with a particular focus on the at-the-money (ATM) skew and curvature, which are key determinants of the IVS shape and whose are widely…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
There has been recent interest in extending the ideas of False Discovery Rates (FDR) to variable selection in regression settings. Traditionally the FDR in these settings has been defined in terms of the coefficients of the full regression…
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…
Probabilistic electricity price forecasting (PEPF) is vital for short-term electricity markets, yet the multivariate nature of day-ahead prices - spanning 24 consecutive hours - remains underexplored. At the same time, real-time…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
We present a new, deadlock-free, routing scheme for toroidal interconnection networks, called OutFlank Routing (OFR). OFR is an adaptive strategy which exploits non-minimal links, both in the source and in the destination nodes. When…
Survival analysis has become a standard approach for modelling time to default by time-varying covariates in credit risk. Unlike most existing methods that implicitly assume a stationary data-generating process, in practise, mortgage…